The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A new model for a stock market index process is proposed in which the index is decomposed into an average growth process and an ergodic diffusion. The...

This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and...

We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function. The procedure employs a recent projection interpretation of popular kernel estimators provided by Mammen et al. (1997), and the...

In this paper we propose a test for the significance of categorical predictors in nonparametric regression models. The test is fully data-driven and employs cross-validated smoothing parameter selection while the null distribution of the test is obtained via bootstrapping. The proposed approach...

This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and...

We work out technical efficiency levels of 29 countries consisting of some selected South Asian, East Asian and EU countries using data envelopment analysis. Luxembourg has an efficiency score of one(most efficient) in all the years .Netherlands also has an efficiency score of one in...